Tested on 2 different PC. Same behavior it does not work. I am doing something wrong or I can reproduce the bug.
Your screenshot does not mean anything. It proves only that your strategy folder is almost empty. Please share your Zorro.ini

It was in the zip file that I attached alongside my screenshot. Did you download it and unzip it?

Perhaps your ZorroFix.ini file is overriding your Zorro.ini file? Better yet, perhaps it's better to only set the settings in the ZorroFix.ini file.

Ok, I did not see the zip file... I discovered something new
1) Copy the installation Zorro dir (all files) in a new directory
2) restart the pc
test it in the original directory it works, test in the copied directory it does not work. I guess that something is wrong.
In the same test procedure the Historydir works correctly

HtH